Best way to bake rigid body physics?
Bake (in the rigid body cache panel).

Storing the locations to keyframes on every frame is very inefficient and will make the size of your .blend skyrocket. The cache system used when baking is designed for exactly this purpose, and so is naturally more efficient.

Bake all dynamics will bake all physics simulations in the scene. This is useful for taking interactions between simulations into account without having to manually bake all the simulations in the right order. If you only have one simulation, then it's the same as Bake.